This paper evaluates the concentrations of water- and fat-soluble precursors of meat flavour, with the aim of characterising the effect of species on the volatile profile of grilled goat and lamb meat. Compared to goat, lamb meat had higher levels of saturated fatty acids—SFA, monounsaturated fatty acids—MUFA and polyunsaturated fatty acids—PUFA and similar levels of sugars and free amino acids, except for lysine and glycine, which were higher in goat. Major differences were detected in lipid-derived volatiles; only pyrazine, thiazole, and some Strecker aldehydes were at different concentrations in these species. Volatile compounds derived from the oxidation of linoleic acid were at higher levels in meat from lamb due to the higher concentration of the latter, while compounds formed from α-linolenic acid were at higher levels in goat. It can be concluded that lamb meat has a stronger flavour profile compared to goat meat because it has the highest concentrations of lipid-derived volatile compounds, primarily straight saturated alkanals, pyrazines and thiazole.